Gradient Search Non-Orthogonal Approximate Joint Diagonalization Algorithm

The problem of approximate joint diagonalization of a set of matrices is instrumental in numerous statistical signal processing applications. This paper describes a relative gradient non-orthogonal approxi- mate joint diagonalization (AJD) algorithm based on a non-least squares AJD criterion and a special AJD us- ing a non-square diagonalizing matrix and an AJD method for ill-conditioned matrices. Simulation results demonstrate the better performance of the relative gradient AJD algorithm compared with the conventional least squares (LS) criteria based gradient-type AJD algorithms. The algorithm is attractive for practical appli- cations since it is simple and efficient.